purple_request_action doesn't call any callbacks if the user closes the window instead of clicking on the buttons. The problem is that purple_request_action is not required to have a cancel action, so when the close button is clicked the UI has no idea which action should be called. The closest one would be the default action, but when the user clicks cancel, he probably expects to cancel even if that's not the default action. Workaround by telling the window manager we don't want to have a close button. Fixes #1947